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A Study on the Price Discovery Function and Spillover Effect between the Bitcoin Spot and Futures Markets
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비트코인 현물과 선물시장 사이의 가격발견기능과 전이효과에 관한 연구

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Type
Academic journal
Author
Eunchong Kim (한화자산운용) Nak young Lee (크래프트 테크놀로지스) Hyoung-Goo Kang (한양대학교)
Journal
한국금융공학회 金融工學硏究 金融工學硏究 제21권 제2호 KCI Accredited Journals
Published
2022.6
Pages
79 - 101 (23page)

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A Study on the Price Discovery Function and Spillover Effect between the Bitcoin Spot and Futures Markets
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This study examines the price discovery function and transfer effect between the Bitcoin futures market and the spot market. To analyze the transfer effect, the VECM model and the Granger causal relationship using it were specifically analyzed, and the results were reconfirmed through PDI to confirm the robustness of the analysis. Afterwards, to analyze the transfer effect, we examine the effect of returns transfer and volatility transfer through the Spillover index. For this, the variability calculation uses the DCC-GARCH(1,1) model. It was found that there is a unit root in the price variables of futures and spot, but the yield variable is stable. Also, in the VECM model and the Granger causality relationship analysis, it was found that although there was a positive feedback effect between the spot market and the futures market return, the spot market had a stronger influence on the futures market. As a result of estimating the DCC-GARCH(1,1) model, it was found that conditional mean and volatility transfer effects exist between the futures market and the spot market. In addition, as for the magnitude of the spillover index transfer effect, the effect from spot to future was larger than the opposite direction. These results are expected to help in establishing investment strategies for speculative and hedging traders participating in the Bitcoin market.
#비트코인 #가격발견기능 #전이효과 #VECM #DCC-GARCH #Spillover Index #Bitcoin #Price Discovery #VECM #DCC-GARCH #Spillover Index

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